STIR: October ECB Pricing In Focus Ahead Of Inflation/Sentiment Data

Softer than expected inflation/activity data may provide scope for October ECB cut pricing to extend, even if it goes against Governing Council preferences for quarterly rate cuts.

• ECB-dated OIS price 65bps of easing through the remainder of 2024, and 38bps through the October meeting (a 25bps cut at the Sep 12 gathering remains fully priced).
• The August flash inflation round kicks off with Spanish figures at 0800BST/0900CET, before German state-level data at 0900BST.
• Today also sees a panel appearance from ECB Chief Economist Lane. Slides will be available on the EBC’s website at 1015BST, but further headlines may be limited (this is the same event that BoE’s Mann is attending, and there were no headlines sent for her appearance yesterday).
• The European Commission’s consumer/business sentiment indices are also due today.
• The macro calendar may thus provide scope for Euribor futures to break out from this week’s recent ranges. ERZ5 is -0.5 at 97.815, having traded in a ~10 tick range the last 7 trading days.